I seem to recall that there was a discussion on this and it was a lot
trickier then expected.

But given that numpy has the weights already for cov, then I don't see any additional issues

whith adding it also to corrcoef.

 

corrcoef is just rescaling the cov, so there is nothing special to add except that corrcoef hands off the options to cov.

This was my understanding. I am currently just using my own copy of corrcoef which forwards the aweights and fweights arguments directly to np.cov. Is this the correct approach?

Corin Hoad